It kind of depends on the yarn and what I'm making. On finer weight yarns leaving it may not show, but I wouldn't leave a knot in a sock. In that case I'd tink back a bit and cut and restart. For heavier yarns I always cut since they'd show more unless it's a very detailed stitch pattern since it might not show there.
Knots in yarn are a part of knitting life as much as errata in patterns and dropped stitches. It's annoying, but no need to panic or get angry over it.